The nonlinear dynamics of Duffing oscillator with state delay feedback and multi-frequency excitations was studied. By discussing the distribution of the characteristic equation roots, bifurcation conditions of time-delay system were discussed. The parametrical regions about the time-delay and feedback coefficient were obtained, from which the critical transition conditions among different coexisting attractors are revealed. Fast- slow dynamics of the system under different parameters were explored. The results show that the time delay and its feedback gain can significantly affect the characteristics of multiple time scale system. Moreover, the tuning of multi-frequency excitations can also act on the dynamical characteristics by changing the slow manifold.